Theres a thread about this with almost 200 comments in it if you want to have a read.
But TLDR, Steam compresses files on their servers with complex algorithms, you download a game and while downloading your cpu is having to decompress the file which is cpu intensive. The kicker is each game on steam is compressed using different algorithms, so downloading GTA may use different amounts of processing power than tomb raider as an example - Very High level
Unless you have a PhD in computer science and experience in low level cpu instruction sets then just think of it as 1s and 0s 